Browsing Volume 2002 by Title
Now showing items 1-18 of 18
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2002-10-24BuchA branch-and-price algorithm for multi-stage stochastic integer programming with application to stochastic batch-sizing problems In this paper we present a branch-and-price method to solve special structured multi-stage stochastic integer programming problems. We validate our method on two different versions of a multi-stage stochastic batch-sizing ...
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2002-03-14BuchA splitting method for stochastic programs This paper derives a new splitting-based decomposition algorithm for convex stochastic programs. It combines certain attractive features of the progressive hedging algorithm of Rockafellar and Wets, the dynamic splitting ...
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2002-04-23BuchA stochastic intra-ring synchronous optimal network design problem We develop a stochastic programming approach to solving an intra-ring Synchronous Optical Network (SONET) design problem. This research differs from pioneering SONET design studies in two fundamental ways. First, while ...
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2002-07-05BuchApplying the minimax criterion in stochastic recourse programs We consider an optimization problem in which some uncertain parmeters are replaced by random variables. The minimax approach to stochastic programming concerns the problem of minimizing the worst expected value of the ...
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2002-01-29BuchCapital growth with security This paper discusses the allocation of capital over time with several risky assets. The capital growth log utility approach is used with conditions requiring that specific goals are achieved with high probability. The ...
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2002-05-26BuchConvex approximations for complete integer recourse models We consider convex approximations of the expected value function of a two-stage integer recourse problem. The convex approximations are obtained by perturbing the distribution of the random right-hand side vector. It is ...
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2002-07-07BuchDuality gaps in nonconvex stochastic optimization We consider multistage stochastic optimization models. Logical or integrality constraints, frequently present in optimization models, limit the application of powerful convex analysis tools. Different Lagrangian relaxation ...
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2002-04-22BuchExact solutions to a class of stochastic generalized assignment problems This paper deals with a stochastic Generalized Assignment Problem with recourse. Only a random subset of the given set of jobs will require to be actually processed. An assignment of each job to an agent is decided a priori, ...
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2002-10-24BuchFrontiers of stochastically nondominated portfolios We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose mean-risk models which are solvable by linear programming and generate ...
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2002-05-03BuchHigher-Order Upper Bounds on the Expectation of a Convex Function We develop a decreasing sequence of upper bounds on the expectation of a convex function. The n-th term in the sequence uses moments and cross-moments of up to degree n from the underlying random vector. Our work has ...
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2002-07-29BuchIntegrated chance constraints reduced forms and an algorithmWe consider integrated chance constraints (ICC), which provide quantitative alternatives for traditional chance constraints. We derive explicit polyhedral descriptions for the convex feasible sets induced by ICCs, for the ...
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2002-06-04BuchIntegration quadratures in discretization of stochastic programs Because of its simplicity, conditional sampling is the most popular method for generating scenario trees in stochastic programming. It is based on approximating probability measures by empirical ones generated by random ...
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2002-11-05BuchLearning algorithms for separable approximations of stochastic optimization problems We propose the use of sequences of separable, piecewise linear approximations for solving classes of nondiffferential stochastic optimization problems. The approximations are estimated adaptively using a combination of ...
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2002-02-21BuchMultistage stochastic convex programs Duality and its implicationsIn this paper, we study alternative primal and dual formulations of multistage stochastic convex programs (SP). The alternative dual problems which can be traced to the alterna-tive primal representations, lead to stochastic ...
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2002-05-02BuchOn Multiple Simple Recourse models We consider multiple simple recourse (MSR) models, both continuous and integer versions, which generalize the corresponding simple recourse (SR) models by allowing for a refined penalty cost structure for individual shortages ...
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2002-05-23BuchOptimization of simultaneous power production and trading by stochastic integer programming We develop a two-stage stochastic integer programming model for the simultaneous optimization of power production and day-ahead power trading. The model rests on mixed-integer linear formulations for the unit commitment ...
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2002-08-16BuchRisk aversion via excess probabilities in stochastic programs with mixed-integer recourse We consider linear two-stage stochastic programs with mixed-integer recourse. Instead of basing the selection of an optimal first-stage solution on expected costs alone, we include into the objective a risk term reflecting ...
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2002-02-13BuchThe stochastic single node service provision problem The service provision problem described in this paper comes from an application of distributed processing in telecommunications networks. The objective is to maximize a service provider's profit from offering computational ...
